| Close | |
|---|---|
| Annualized Return | 0.0014 |
| Annualized Std Dev | 0.1463 |
| Annualized Sharpe (Rf=0%) | 0.0096 |
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1487 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.1005 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0092 |
| Skewness | -1.4074 |
| Kurtosis | 33.1680 |
| Close | |
|---|---|
| Semi Deviation | 0.0069 |
| Gain Deviation | 0.0064 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.4658 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0218 |
| Modified VaR (95%) | -0.0123 |
| Modified ES (95%) | -0.0123 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-03 | 2008-10-09 | 2016-07-01 | -0.4658 | 2309 | 364 | 1945 |
| 2020-02-11 | 2020-03-19 | NA | -0.3665 | 280 | 27 | NA |
| 1999-01-13 | 2004-05-10 | 2006-06-30 | -0.2652 | 1878 | 1338 | 540 |
| 2017-10-16 | 2018-10-15 | 2019-06-27 | -0.2077 | 427 | 252 | 175 |
| 2016-07-13 | 2016-12-12 | 2017-10-13 | -0.1711 | 318 | 107 | 211 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | 0.5 | 0 | 0 | 2 | 1 | 0.5 | -1.6 | -0.6 | 1.1 | 3 |
| 2000 | 1.7 | 0 | 3.4 | 0 | 0.6 | 0.6 | 0 | 0.5 | 0 | -0.5 | 2.1 | 1.5 | 10.2 |
| 2001 | 0.3 | -0.4 | 0.6 | -0.2 | 0 | 0.4 | 0.1 | -0.2 | 1.3 | 0.5 | 0.3 | 0.4 | 3.3 |
| 2002 | -0.4 | -0.7 | 0.7 | 1.3 | 0.4 | 0.8 | 1.9 | 1.3 | -0.2 | 1.9 | 0.9 | 0.3 | 8.4 |
| 2003 | 0.3 | 0.1 | 0.1 | 1 | 0 | 0.7 | -0.6 | 0.3 | -0.5 | 0.4 | 0.1 | -0.3 | 1.6 |
| 2004 | -0.2 | 0 | 0.1 | 1.3 | -0.5 | 1.2 | 0.3 | -0.5 | 0.2 | 1.5 | -0.2 | -0.1 | 3.1 |
| 2005 | 0.3 | 0.8 | 0.8 | 0 | 1.4 | -0.1 | -1.1 | 0.9 | 0.1 | 0.3 | -0.1 | -0.1 | 3.2 |
| 2006 | -1.1 | -0.9 | 0.5 | -0.1 | 0.8 | 0.8 | 0.8 | 0.4 | -0.3 | 0.2 | -0.2 | 1 | 2 |
| 2007 | 0.7 | 0.3 | 0.4 | 0.2 | -3 | 0.5 | -0.6 | -0.1 | 0.8 | -0.3 | -2 | 1.4 | -1.8 |
| 2008 | 0.1 | -0.6 | -0.4 | 1.6 | -0.3 | 0.8 | 0 | -0.1 | 2.6 | 0.2 | -2.8 | 2.4 | 3.4 |
| 2009 | -0.8 | 0.1 | 2.3 | 1.8 | 0.5 | -1.2 | 0.4 | -0.3 | -1 | 0.3 | 0.1 | 0.1 | 2.3 |
| 2010 | -0.6 | 0.5 | 0.1 | -0.3 | 0.6 | 0.4 | -0.5 | -0.2 | 1 | -0.3 | -0.9 | 1.7 | 1.3 |
| 2011 | 0 | 0.4 | 1 | 0 | 0.2 | -0.2 | 0.8 | 0 | -0.1 | 0.4 | -0.2 | 0.6 | 2.8 |
| 2012 | -0.3 | 0.1 | 1.2 | 0.7 | 0.2 | 0.4 | -0.4 | 0.4 | 0.5 | -0.4 | 0.9 | 0.6 | 4 |
| 2013 | 0.3 | -0.1 | 1.3 | -0.3 | -1 | 0.7 | -0.5 | -0.4 | 0.2 | -1.2 | -0.2 | 0.2 | -1.2 |
| 2014 | 0.1 | 0.2 | -0.2 | 0.8 | -0.3 | -0.1 | 0.5 | 0.4 | 0.7 | 0.4 | -0.1 | -0.1 | 2.3 |
| 2015 | 0.6 | 1.3 | 1.3 | -1.3 | 0.2 | 0 | 0.4 | 0.7 | -0.3 | -0.6 | 0.4 | -0.3 | 2.4 |
| 2016 | 0.6 | 0.8 | -0.1 | 0.1 | 1.3 | 0.5 | 0.1 | -0.4 | 0.5 | 0.1 | -1.6 | 0.4 | 2.3 |
| 2017 | -0.5 | -0.7 | -0.1 | -0.1 | -0.2 | 0.5 | 0.3 | -0.3 | 0 | 0.4 | 0.9 | -0.3 | -0.1 |
| 2018 | 0.4 | -0.1 | 0.6 | 0.2 | 0.2 | 0.2 | 0.6 | 0.1 | 0.3 | 1.6 | 0.1 | -1.1 | 3.1 |
| 2019 | 1.3 | 0.2 | 0 | -0.2 | -0.1 | 1.2 | 0.3 | -0.6 | 1.3 | 0.6 | 0.5 | 0.4 | 5 |
| 2020 | 0.5 | -1.5 | -6.6 | 0.8 | 0.8 | 0.4 | 0 | 0.7 | 0.7 | -0.2 | 0.1 | 0.8 | -3.8 |
| 2021 | -0.7 | 0.6 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 14.4 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 14.4 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 14.4 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 14.4 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 14.5 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 14.5 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>